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Eicker, Friedhelm

Trend-seasonal decomposition of time series as Whittaker-Henderson graduation. (English) Zbl 0654.62078

Statistics 19, No. 2, 313-338 (1988).
This paper deals with smoothing, decomposition, prediction and related operations on time series observed just once. Model free seasonal adjustment procedures are generalized by admitting arbitrary and data dependent weights. These methods rest on Whittaker-Henderson graduation. Various applications, such as predictions, are considered. Reproduction properties, equivariances, outliers etc. are indicated.
Reviewer: A.M.Kshirsagar

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M20 Inference from stochastic processes and prediction

Keywords:

descriptive seasonal adjustment; trend-seasonal decomposition; diagnostic modelling; global smoothing; graphical checks; robustification; prediction; time series; Model free seasonal adjustment procedures; Whittaker-Henderson graduation; Reproduction properties; equivariances; outliers

Software:

SAS
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Full Text: DOI

References:

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